| Metric | EQW | ^DJI | SPY | MV (80d) | BL (80d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 99.0% | 99.0% |
| Cumulative Return | 4,779.81% | 934.16% | 1,778.12% | 1,282.33% | 4,843.57% |
| CAGR﹪ | 13.78% | 8.07% | 10.23% | 9.12% | 13.83% |
| Sharpe | 0.76 | 0.52 | 0.61 | 0.53 | 0.85 |
| Prob. Sharpe Ratio | 100.0% | 99.78% | 99.96% | 99.81% | 100.0% |
| Smart Sharpe | 0.71 | 0.49 | 0.57 | 0.5 | 0.8 |
| Sortino | 1.09 | 0.74 | 0.86 | 0.76 | 1.27 |
| Smart Sortino | 1.02 | 0.69 | 0.81 | 0.71 | 1.19 |
| Sortino/√2 | 0.77 | 0.52 | 0.61 | 0.54 | 0.9 |
| Smart Sortino/√2 | 0.72 | 0.49 | 0.57 | 0.5 | 0.84 |
| Omega | 1.15 | 1.1 | 1.12 | 1.11 | 1.17 |
| Max Drawdown | -58.9% | -53.78% | -55.19% | -55.95% | -40.47% |
| Max DD Date | 2009-03-05 | 2009-03-09 | 2009-03-09 | 2009-03-09 | 2009-03-09 |
| Max DD Period Start | 2007-10-10 | 2007-10-10 | 2007-10-10 | 2008-05-30 | 2007-12-11 |
| Max DD Period End | 2010-12-09 | 2013-03-04 | 2012-08-15 | 2013-01-03 | 2010-12-15 |
| Longest DD Days | 1157 | 2450 | 2404 | 1680 | 1101 |
| Volatility (ann.) | 19.59% | 17.96% | 18.96% | 20.52% | 16.82% |
| Calmar | 0.23 | 0.15 | 0.19 | 0.16 | 0.34 |
| Skew | -0.06 | -0.17 | -0.06 | 0.07 | 0.39 |
| Kurtosis | 11.07 | 12.17 | 11.11 | 22.6 | 10.2 |
| Expected Daily | 0.05% | 0.03% | 0.04% | 0.03% | 0.05% |
| Expected Monthly | 1.08% | 0.65% | 0.81% | 0.73% | 1.08% |
| Expected Yearly | 13.36% | 7.83% | 9.92% | 8.84% | 13.41% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -1.97% | -1.82% | -1.92% | -2.08% | -1.69% |
| Expected Shortfall (cVaR) | -3.64% | -3.64% | -3.64% | -3.64% | -3.64% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.15 | 1.1 | 1.12 | 1.11 | 1.17 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.98 | 0.97 | 0.94 | 0.96 | 0.99 |
| Outlier Win Ratio | 3.95 | 4.32 | 4.14 | 3.83 | 4.5 |
| Outlier Loss Ratio | 3.81 | 4.13 | 3.83 | 3.64 | 4.39 |
| MTD | 2.37% | 2.57% | 5.17% | 1.87% | 3.3% |
| 3M | 10.2% | 10.94% | 12.06% | 4.32% | 8.71% |
| 6M | 13.08% | 14.12% | 16.79% | 1.89% | 11.0% |
| YTD | 2.06% | 3.83% | 6.85% | 1.63% | 5.4% |
| 1Y | 12.27% | 18.42% | 29.36% | 9.9% | 13.36% |
| 3Y (ann.) | 6.92% | 6.31% | 10.76% | 7.44% | 5.48% |
| 5Y (ann.) | 10.97% | 9.1% | 14.72% | 18.23% | 9.38% |
| 10Y (ann.) | 11.25% | 9.29% | 12.72% | 15.31% | 11.4% |
| All-time (ann.) | 13.78% | 8.07% | 10.23% | 9.12% | 13.83% |
| Best Day | 11.97% | 11.37% | 14.52% | 20.2% | 10.72% |
| Worst Day | -11.42% | -12.93% | -10.94% | -16.54% | -8.42% |
| Best Month | 19.0% | 13.95% | 12.7% | 18.17% | 15.93% |
| Worst Month | -15.87% | -15.13% | -16.52% | -19.93% | -13.58% |
| Best Year | 45.92% | 33.45% | 38.05% | 52.31% | 48.02% |
| Worst Year | -37.32% | -33.84% | -36.8% | -41.49% | -20.84% |
| Avg. Drawdown | -2.05% | -2.18% | -1.91% | -2.91% | -2.11% |
| Avg. Drawdown Days | 23 | 37 | 27 | 40 | 24 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.1 | 0.13 | 0.15 | 0.14 | 0.08 |
| Serenity Index | 1.54 | 0.69 | 0.77 | 0.84 | 1.54 |
| Avg. Up Month | 4.61% | 3.86% | 4.06% | 4.0% | 3.89% |
| Avg. Down Month | -4.95% | -4.9% | -4.85% | -4.77% | -3.61% |
| Win Days | 54.34% | 53.4% | 54.41% | 53.21% | 54.05% |
| Win Month | 65.75% | 62.71% | 65.19% | 62.85% | 63.13% |
| Win Quarter | 74.38% | 66.94% | 72.73% | 60.0% | 70.83% |
| Win Year | 83.87% | 74.19% | 80.65% | 87.1% | 83.87% |
| Year | EQW | ^DJI | SPY | MV (80d) | BL (80d) |
|---|---|---|---|---|---|
| 1994 | 10.95 | 1.92 | 0.81 | 7.42 | 10.71 |
| 1995 | 37.88 | 29.25 | 32.63 | 33.91 | 40.00 |
| 1996 | 27.60 | 23.85 | 21.15 | 6.67 | 27.23 |
| 1997 | 29.08 | 22.18 | 30.91 | 17.98 | 32.23 |
| 1998 | 28.98 | 16.90 | 27.71 | 18.45 | 22.27 |
| 1999 | 30.45 | 23.80 | 20.19 | 2.98 | -2.08 |
| 2000 | 12.30 | -4.22 | -7.41 | 6.08 | 42.16 |
| 2001 | 1.56 | -5.12 | -10.11 | 4.23 | -6.90 |
| 2002 | -15.61 | -15.11 | -20.83 | -32.25 | -4.92 |
| 2003 | 33.43 | 23.95 | 26.20 | 45.26 | 23.19 |
| 2004 | 13.69 | 3.69 | 10.78 | 4.37 | 16.86 |
| 2005 | 8.10 | -0.08 | 5.25 | 0.73 | 4.80 |
| 2006 | 18.09 | 15.58 | 15.21 | 7.27 | 27.38 |
| 2007 | 9.68 | 7.29 | 6.28 | 8.32 | 15.73 |
| 2008 | -37.33 | -34.13 | -37.36 | -42.57 | -17.81 |
| 2009 | 43.07 | 20.17 | 26.93 | 24.18 | 16.61 |
| 2010 | 17.77 | 11.76 | 15.63 | 1.72 | 12.75 |
| 2011 | 4.89 | 7.59 | 4.53 | 21.37 | 12.89 |
| 2012 | 17.95 | 7.69 | 15.64 | 17.91 | 15.41 |
| 2013 | 31.20 | 24.03 | 28.62 | 14.98 | 28.98 |
| 2014 | 16.48 | 7.84 | 13.27 | 14.83 | 10.49 |
| 2015 | 3.30 | -1.07 | 2.41 | 13.22 | 4.29 |
| 2016 | 16.56 | 13.38 | 12.18 | 11.15 | 13.02 |
| 2017 | 19.78 | 22.61 | 19.88 | 26.27 | 21.99 |
| 2018 | -5.89 | -4.20 | -3.23 | -2.13 | 9.63 |
| 2019 | 21.13 | 20.94 | 27.97 | 19.80 | 20.79 |
| 2020 | 14.81 | 13.82 | 22.47 | 39.30 | 14.84 |
| 2021 | 25.79 | 17.94 | 26.11 | 25.82 | 11.80 |
| 2022 | -3.61 | -7.24 | -17.13 | 2.18 | -1.30 |
| 2023 | 12.44 | 13.49 | 24.11 | 4.97 | 4.31 |
| 2024 | 2.14 | 3.81 | 6.73 | 1.69 | 5.32 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2010-12-09 | -58.90 | 1157 |
| 2020-01-21 | 2020-11-13 | -38.98 | 298 |
| 2001-05-22 | 2003-11-28 | -33.63 | 921 |
| 2022-01-13 | 2023-12-13 | -23.07 | 700 |
| 2011-05-11 | 2012-02-02 | -20.87 | 268 |
| 1998-07-20 | 1998-11-20 | -20.54 | 124 |
| 2018-01-29 | 2019-07-11 | -18.70 | 529 |
| 2000-01-18 | 2000-03-31 | -15.03 | 74 |
| 2001-02-02 | 2001-05-15 | -14.65 | 103 |
| 2015-05-22 | 2016-03-31 | -12.99 | 315 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 1998-07-20 | 1998-11-20 | -19.26 | 124 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 1997-08-07 | 1998-02-09 | -13.30 | 187 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 1998-07-21 | 1998-11-20 | -19.03 | 123 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 1997-10-08 | 1997-12-04 | -11.20 | 58 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-05-30 | 2013-01-03 | -55.95 | 1680 |
| 2001-06-06 | 2003-11-28 | -38.93 | 906 |
| 2020-02-13 | 2020-05-08 | -27.04 | 86 |
| 2022-05-31 | 2024-02-23 | -22.20 | 634 |
| 1998-11-24 | 2000-10-30 | -21.05 | 707 |
| 2015-07-23 | 2015-10-14 | -17.72 | 84 |
| 2000-11-22 | 2001-05-03 | -17.38 | 163 |
| 1997-10-08 | 1998-07-13 | -16.83 | 279 |
| 2018-01-29 | 2019-11-15 | -16.64 | 656 |
| 2006-05-11 | 2007-01-11 | -14.83 | 246 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-11 | 2010-12-15 | -40.47 | 1101 |
| 2002-03-20 | 2003-12-29 | -28.83 | 650 |
| 1999-07-06 | 2000-05-23 | -28.57 | 323 |
| 2020-01-03 | 2020-08-04 | -21.67 | 215 |
| 2022-04-21 | 2024-02-21 | -20.47 | 672 |
| 1997-07-31 | 1997-12-02 | -15.50 | 125 |
| 1996-03-08 | 1996-06-11 | -15.19 | 96 |
| 2000-12-29 | 2001-05-15 | -14.73 | 138 |
| 2018-12-03 | 2019-06-13 | -14.16 | 193 |
| 2001-05-21 | 2002-02-21 | -13.49 | 277 |